| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 4.78% | 6.73% |
| CAGR﹪ | 10.31% | 14.67% |
| Sharpe | 0.57 | 1.24 |
| Prob. Sharpe Ratio | 65.2% | 80.51% |
| Smart Sharpe | 0.55 | 1.23 |
| Sortino | 0.83 | 1.98 |
| Smart Sortino | 0.8 | 1.98 |
| Sortino/√2 | 0.59 | 1.4 |
| Smart Sortino/√2 | 0.56 | 1.4 |
| Omega | 1.15 | 1.3 |
| Max Drawdown | -4.49% | -3.0% |
| Max DD Date | 2026-06-10 | 2026-08-27 |
| Max DD Period Start | 2026-06-03 | 2026-07-31 |
| Max DD Period End | 2026-07-31 | 2026-09-11 |
| Longest DD Days | 59 | 43 |
| Volatility (ann.) | 12.48% | 8.56% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.29 | 4.89 |
| Skew | -0.1 | 0.27 |
| Kurtosis | 0.62 | -0.12 |
| Ulcer Performance Index | 2.82 | 5.63 |
| Risk-Adjusted Return | 10.31% | 15.44% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.61% | 0.36% |
| Avg. Loss | -0.48% | -0.42% |
| Win/Loss Ratio | 1.28 | 0.87 |
| Profit Ratio | 1.23 | 0.93 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.67% | 0.94% |
| Expected Yearly | 4.78% | 6.73% |
| Kelly Criterion | 9.56% | -4.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.83% |
| Expected Shortfall (cVaR) | -1.78% | -1.13% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.15 | 0.3 |
| Gain/Pain (1M) | 2.46 | 1.69 |
| Payoff Ratio | 1.28 | 0.87 |
| Profit Factor | 1.15 | 1.3 |
| Common Sense Ratio | 1.45 | 1.95 |
| CPC Index | 0.72 | 0.58 |
| Tail Ratio | 1.26 | 1.5 |
| Outlier Win Ratio | 2.64 | 2.84 |
| Outlier Loss Ratio | 3.11 | 2.74 |
| MTD | 1.47% | -0.59% |
| 3M | 1.46% | 5.41% |
| 6M | 4.78% | 6.73% |
| YTD | 4.78% | 6.73% |
| 1Y | 4.78% | 6.73% |
| 3Y (ann.) | 10.31% | 14.67% |
| 5Y (ann.) | 10.31% | 14.67% |
| 10Y (ann.) | 10.31% | 14.67% |
| All-time (ann.) | 10.31% | 14.67% |
| Best Day | 1.8% | 1.43% |
| Worst Day | -2.58% | -1.34% |
| Best Month | 2.85% | 3.73% |
| Worst Month | -1.03% | -1.79% |
| Best Year | 4.78% | 6.73% |
| Worst Year | 4.78% | 6.73% |
| Avg. Drawdown | -1.61% | -1.04% |
| Avg. Drawdown Days | 19 | 10 |
| Recovery Factor | 1.12 | 2.23 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.67 | 1.21 |
| Avg. Up Month | 0.03% | 1.16% |
| Avg. Down Month | - | - |
| Win Days | 49.17% | 51.33% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.16 |
| Correlation | - | -20.45% |
| Treynor Ratio | - | -48.05% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 4.78 | 6.73 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-31 | 2026-09-11 | -3.00 | 43 |
| 2026-06-26 | 2026-07-28 | -2.65 | 33 |
| 2026-10-26 | 2026-10-29 | -1.84 | 4 |
| 2026-05-06 | 2026-06-10 | -1.79 | 36 |
| 2026-09-17 | 2026-09-23 | -1.40 | 7 |
| 2026-06-23 | 2026-06-24 | -0.97 | 2 |
| 2026-11-03 | 2026-11-04 | -0.67 | 2 |
| 2026-06-16 | 2026-06-18 | -0.53 | 3 |
| 2026-10-06 | 2026-10-06 | -0.43 | 1 |
| 2026-10-19 | 2026-10-21 | -0.42 | 3 |